Published on 5/10/2020 in the Prospect News Structured Products Daily.
New Issue: Citigroup sells $8.54 million trigger autocallable contingent yield notes on indexes
By Kiku Steinfeld
Chicago, May 11 – Citigroup Global Markets Holdings Inc. priced $8.54 million of trigger autocallable contingent yield notes due April 29, 2030, linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Citigroup Inc.
Each quarter, the notes pay a contingent coupon if each index closes at or above its coupon barrier, 75% of its initial level, on any quarterly valuation date. The contingent coupon rate is 12.25% per year.
The notes will be called at par of $10 plus the contingent coupon if each index closes at or above its initial level on any quarterly observation date after one year.
If the notes are not called and each index finishes at or above its 75% downside threshold, the payout at maturity will be par plus the contingent coupon.
Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
UBS Financial Services Inc. and Citigroup Global Markets Inc. are the agents.
Issuer: | Citigroup Global Markets Holdings Inc.
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Guarantor: | Citigroup Inc.
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Issue: | Trigger autocallable contingent yield notes
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Underlying indexes: | S&P 500, Russell 2000 and Euro Stoxx 50
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Amount: | $8,535,000
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Maturity: | April 29, 2030
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Coupon: | 12.25% per year, payable quarterly if each index closes at or above its coupon barrier on any quarterly valuation date
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Price: | Par of $10
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Payout at maturity: | If each index finishes at or above downside threshold, par plus contingent coupon; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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Call: | At par plus coupon if each index closes above initial level on any quarterly observation date after one year
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Initial levels: | 1,233.053 for Russell, 2,809.07 for Stoxx and 2,836.74 for S&P 500
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Coupon barriers: | 924.790 for Russell, 2,106.80 for Stoxx and 2,127.56 for S&P 500; 75% of initial levels
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Downside thresholds: | 924.790 for Russell, 2,106.80 for Stoxx and 2,127.56 for S&P 500; 75% of initial levels
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Pricing date: | April 24
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Settlement date: | April 29
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Agents: | UBS Financial Services Inc. and Citigroup Global Markets Inc.
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Fees: | 3.5%
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Cusip: | 17327U533
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